Add to ORKGBanerjee, Dolado and Mestre (J. Time Ser. Anal. 19 (1998) 267-283) introduce an error-correction test for the null hypothesis of no cointegration. The present paper supplements their work. They provide critical values for regressions with and without detrending. Here it is shown that the latter are not appropriate if the series display linear trends. This does not mean that detrending is required. Correct percentiles are suggested for the case that series follow linear time trends but tests are based on regressions without detrending. They are readily available from the literature
We provide GLS-based versions of two widely used approaches for testing whether or not non-stationar...
Nonstationary fractionally integrated time series may possibly be fractionally cointegrated. In this...
In this paper, two new simple residual-based panel data tests are proposed for the null of no cointe...
Banerjee, Dolado and Mestre (J. Time Ser. Anal. 19 (1998) 267-283) introduce an error-correction te...
This paper surveys the asymptotic distributions of three widely used single equation cointegration t...
We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All...
We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All...
In this note we discuss some important issues in regression models for non-statio-nary time series. ...
A new test is proposed for cointegration in a single-equation framework where the regressors are wea...
Available from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kie...
This paper develops a linearity test that can be applied to cointegrating relations. We consider the...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
In this paper we generate critical values for a test for cointegration based on the joint significan...
This paper develops a linearity test that can be applied to cointegrating relations. We consider the...
summary:In this paper some of the cointegration tests applied to a single equation are compared. Man...
We provide GLS-based versions of two widely used approaches for testing whether or not non-stationar...
Nonstationary fractionally integrated time series may possibly be fractionally cointegrated. In this...
In this paper, two new simple residual-based panel data tests are proposed for the null of no cointe...
Banerjee, Dolado and Mestre (J. Time Ser. Anal. 19 (1998) 267-283) introduce an error-correction te...
This paper surveys the asymptotic distributions of three widely used single equation cointegration t...
We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All...
We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All...
In this note we discuss some important issues in regression models for non-statio-nary time series. ...
A new test is proposed for cointegration in a single-equation framework where the regressors are wea...
Available from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kie...
This paper develops a linearity test that can be applied to cointegrating relations. We consider the...
This paper deals with estimation and testing for cointegration when deterministic trends are present...
In this paper we generate critical values for a test for cointegration based on the joint significan...
This paper develops a linearity test that can be applied to cointegrating relations. We consider the...
summary:In this paper some of the cointegration tests applied to a single equation are compared. Man...
We provide GLS-based versions of two widely used approaches for testing whether or not non-stationar...
Nonstationary fractionally integrated time series may possibly be fractionally cointegrated. In this...
In this paper, two new simple residual-based panel data tests are proposed for the null of no cointe...